Travis Berge, "Forecasting Disconnected Exchange Rates", Journal
of Applied Econometrics, Vol. 29, No. 5, 2014, pp. 713-735.

All data are in the file berge-data.txt, an ASCII file in DOS format
which is zipped in berge-data.zip. Unix/Linux users should use
"unzip -a".

The file berge-data.txt contains, for the panel of countries
considered, the dollar-fx exchange rate, libor rates and government
interest rates of various maturities, consumer price indices, and a
measure of the output gap. See section 2.3 of the paper for details on
data sources and data availability.

The variable names and descriptions are as follows:

Isocode: the ISO code for each country in the panel
  
year: observation year
  
month:  observation month
  
ner: Nominal exchange rate (expressed as U.S. dollars per unit foreign
     currency)
  
cpi: consumer price index
  
uscpi: U.S. cpi
  
libor*: Libor rate for maturity of * months
  
uslibor*: U.S. dollar Libor rate for maturity of * months
  
i*: Interest rate on government debt instrument of maturity * months
  
ius*: Interest rate on U.S. government debt instrument of maturity *
      months
  
outgap: Output gap, calculated as 12-month log difference in
industrial production index.
  
usoutgap: U.S. output gap, calculated as 12-month log difference in
industrial production index.

There are 2484 observations.